Really ? Seems weird to me that an AV receiver has HDMI output, but can't process a 480p component input.

NES to HDMI: same as above. Get a cheap line doubler to get 240p to analogue 480p and then use a VGA to HDMI or component to HDMI converter to get it to your TV. Good VGA or component to HDMI boxes will run you roughly $40 as well. You can check my signature for other affordable scalers which might to the same in a single step. Expect to pay a little more though.

Ian recently approached me with basically the same problem (240p capture on a HDPVR) and I recommended the same thing I did here. He decided to upgrade to the HD-PVR2 (with HDMI input) and to use an old DVDO processor (a VP20) as a "recording interface".